sqa 0.0.24 → 0.0.31

data/examples/pattern_context_example.rb

@@ -0,0 +1,300 @@
+#!/usr/bin/env ruby
+# frozen_string_literal: true
+
+# Example: Context-Aware Pattern Discovery with KBS
+#
+# This example demonstrates the full Pattern Context system:
+# 1. Market regime detection (bull/bear/sideways)
+# 2. Seasonal pattern analysis (monthly/quarterly)
+# 3. Sector analysis with KBS blackboards
+# 4. Context-aware pattern discovery
+# 5. Walk-forward validation to prevent overfitting
+#
+# Key Insight: Patterns aren't universal. They work in specific contexts:
+# - Market regimes (bull vs bear)
+# - Seasons (Q4 holiday shopping)
+# - Sectors (tech stocks move together)
+#
+# This system helps identify WHEN and WHERE patterns are valid.
+
+require 'sqa'
+
+SQA.init
+
+puts "=" * 80
+puts "CONTEXT-AWARE PATTERN DISCOVERY SYSTEM"
+puts "=" * 80
+puts
+
+# Only run integration tests if explicitly requested
+if ENV['RUN_INTEGRATION_TESTS']
+
+  # Example 1: Market Regime Detection
+  puts "\n" + "=" * 80
+  puts "Example 1: Market Regime Detection"
+  puts "=" * 80
+  puts
+
+  stock = SQA::Stock.new(ticker: 'AAPL')
+  puts "Loaded #{stock.df.size} days of AAPL history"
+  puts
+
+  # Detect current regime
+  regime = SQA::MarketRegime.detect(stock)
+  puts "Current Market Regime:"
+  puts "  Type: #{regime[:type]}"
+  puts "  Volatility: #{regime[:volatility]}"
+  puts "  Strength: #{regime[:strength]}"
+  puts
+
+  # Analyze regime history
+  regime_history = SQA::MarketRegime.detect_history(stock)
+  puts "Regime History (#{regime_history.size} distinct periods):"
+  regime_history.last(5).each do |r|
+    puts "  #{r[:type].to_s.upcase.ljust(10)} - #{r[:duration]} days"
+  end
+  puts
+
+  # Example 2: Seasonal Pattern Analysis
+  puts "\n" + "=" * 80
+  puts "Example 2: Seasonal Pattern Analysis"
+  puts "=" * 80
+  puts
+
+  seasonal = SQA::SeasonalAnalyzer.analyze(stock)
+  puts "Seasonal Performance:"
+  puts "  Best performing months: #{seasonal[:best_months].map { |m| Date::MONTHNAMES[m] }.join(', ')}"
+  puts "  Worst performing months: #{seasonal[:worst_months].map { |m| Date::MONTHNAMES[m] }.join(', ')}"
+  puts "  Best quarters: Q#{seasonal[:best_quarters].join(', Q')}"
+  puts "  Has seasonal pattern: #{seasonal[:has_seasonal_pattern] ? 'YES' : 'NO'}"
+  puts
+
+  # Show monthly returns
+  puts "Monthly Average Returns:"
+  seasonal[:monthly_returns].sort_by { |m, _| m }.each do |month, stats|
+    month_name = Date::MONTHNAMES[month].ljust(10)
+    avg_return = stats[:avg_return].round(2)
+    sign = avg_return >= 0 ? '+' : ''
+    puts "  #{month_name}: #{sign}#{avg_return}% (#{stats[:count]} samples)"
+  end
+  puts
+
+  # Example 3: Sector Analysis with KBS Blackboards
+  puts "\n" + "=" * 80
+  puts "Example 3: Sector Analysis with KBS Blackboards"
+  puts "=" * 80
+  puts
+
+  analyzer = SQA::SectorAnalyzer.new
+
+  # Add technology stocks
+  tech_stocks = ['AAPL', 'MSFT', 'GOOGL'].map { |t| SQA::Stock.new(ticker: t) }
+  tech_stocks.each { |s| analyzer.add_stock(s, sector: :technology) }
+
+  puts "Analyzing Technology sector (#{tech_stocks.size} stocks)"
+  puts
+
+  # Detect sector regime
+  sector_regime = analyzer.detect_sector_regime(:technology, tech_stocks)
+  puts "Technology Sector Regime:"
+  puts "  Consensus: #{sector_regime[:consensus_regime]}"
+  puts "  Sector strength: #{sector_regime[:sector_strength]}% bullish"
+  puts
+
+  # Discover sector-wide patterns
+  puts "Discovering sector-wide patterns..."
+  sector_patterns = analyzer.discover_sector_patterns(
+    :technology,
+    tech_stocks,
+    min_gain_percent: 8.0,
+    fpop: 10,
+    max_fpl_risk: 20.0
+  )
+
+  if sector_patterns.any?
+    puts "\nSector-Wide Patterns Found: #{sector_patterns.size}"
+    sector_patterns.first(3).each_with_index do |sp, i|
+      puts "\n  Pattern #{i + 1}:"
+      puts "    Stocks: #{sp[:stocks].join(', ')}"
+      puts "    Avg Frequency: #{sp[:avg_frequency].round(1)}"
+      puts "    Avg Gain: #{sp[:avg_gain].round(2)}%"
+      puts "    Conditions: #{sp[:conditions]}"
+    end
+  end
+  puts
+
+  # Print sector summary
+  analyzer.print_sector_summary(:technology)
+
+  # Example 4: Context-Aware Pattern Discovery
+  puts "\n" + "=" * 80
+  puts "Example 4: Context-Aware Pattern Discovery"
+  puts "=" * 80
+  puts
+
+  generator = SQA::StrategyGenerator.new(
+    stock: stock,
+    min_gain_percent: 10.0,
+    fpop: 10,
+    max_fpl_risk: 20.0,
+    required_fpl_directions: [:UP]
+  )
+
+  # Discover patterns with full context
+  context_patterns = generator.discover_context_aware_patterns(
+    analyze_regime: true,
+    analyze_seasonal: true,
+    sector: :technology
+  )
+
+  puts "\nDiscovered Context-Aware Patterns:"
+  context_patterns.first(3).each_with_index do |pattern, i|
+    puts "\n  Pattern #{i + 1}:"
+    puts "    Frequency: #{pattern.frequency}"
+    puts "    Avg Gain: #{pattern.avg_gain.round(2)}%"
+    puts "    Context: #{pattern.context.summary}"
+    puts "    Market Regime: #{pattern.context.market_regime}"
+    puts "    Valid Months: #{pattern.context.valid_months.map { |m| Date::MONTHNAMES[m] }.join(', ')}" if pattern.context.valid_months.any?
+    puts "    Sector: #{pattern.context.sector}"
+    puts "    Conditions: #{pattern.conditions}"
+  end
+  puts
+
+  # Example 5: Walk-Forward Validation
+  puts "\n" + "=" * 80
+  puts "Example 5: Walk-Forward Validation (Prevent Overfitting)"
+  puts "=" * 80
+  puts
+
+  puts "Running time-series cross-validation..."
+  puts "(This validates patterns on out-of-sample data)"
+  puts
+
+  validation_results = generator.walk_forward_validate(
+    train_size: 250,  # 1 year training
+    test_size: 60,    # ~3 months testing
+    step_size: 30     # Step forward 1 month each iteration
+  )
+
+  validated_patterns = validation_results[:validated_patterns]
+  all_results = validation_results[:validation_results]
+
+  puts "\nValidation Summary:"
+  puts "  Total patterns tested: #{all_results.size}"
+  puts "  Patterns validated (positive return, Sharpe > 0.5): #{validated_patterns.size}"
+  puts
+
+  if all_results.any?
+    # Calculate statistics
+    returns = all_results.map { |r| r[:test_return] }
+    sharpes = all_results.map { |r| r[:test_sharpe] }.compact
+    drawdowns = all_results.map { |r| r[:test_max_drawdown] }.compact
+
+    avg_return = returns.sum / returns.size
+    avg_sharpe = sharpes.any? ? sharpes.sum / sharpes.size : 0
+    avg_drawdown = drawdowns.any? ? drawdowns.sum / drawdowns.size : 0
+
+    puts "Out-of-Sample Performance:"
+    puts "  Avg Return: #{avg_return.round(2)}%"
+    puts "  Avg Sharpe: #{avg_sharpe.round(2)}"
+    puts "  Avg Max Drawdown: #{avg_drawdown.round(2)}%"
+    puts
+
+    # Show best validated patterns
+    if validated_patterns.any?
+      puts "Best Validated Patterns (worked out-of-sample):"
+      validated_patterns.uniq.first(3).each_with_index do |pattern, i|
+        puts "\n  Pattern #{i + 1}:"
+        puts "    Frequency: #{pattern.frequency}"
+        puts "    Avg Gain (in-sample): #{pattern.avg_gain.round(2)}%"
+        puts "    Conditions: #{pattern.conditions}"
+      end
+    else
+      puts "⚠️  No patterns passed validation!"
+      puts "This suggests discovered patterns may be overfit to historical data."
+      puts "Try:"
+      puts "  - Adjusting thresholds"
+      puts "  - Increasing min_pattern_frequency"
+      puts "  - Using context filters (regime, seasonal)"
+    end
+  end
+  puts
+
+  # Example 6: Pattern Validity Checking
+  puts "\n" + "=" * 80
+  puts "Example 6: Runtime Pattern Validity Checking"
+  puts "=" * 80
+  puts
+
+  if context_patterns.any?
+    pattern = context_patterns.first
+
+    puts "Checking if pattern is valid for different scenarios:"
+    puts
+
+    # Scenario 1: Current date in valid month
+    test_date = Date.new(2024, 12, 15)  # December
+    valid = pattern.context.valid_for?(
+      date: test_date,
+      regime: :bull,
+      sector: :technology
+    )
+    puts "  December 15, 2024 (Bull market, Tech sector): #{valid ? '✓ VALID' : '✗ INVALID'}"
+
+    # Scenario 2: Wrong month
+    test_date = Date.new(2024, 6, 15)  # June
+    valid = pattern.context.valid_for?(
+      date: test_date,
+      regime: :bull,
+      sector: :technology
+    )
+    puts "  June 15, 2024 (Bull market, Tech sector): #{valid ? '✓ VALID' : '✗ INVALID'}"
+
+    # Scenario 3: Wrong regime
+    valid = pattern.context.valid_for?(
+      date: Date.new(2024, 12, 15),
+      regime: :bear,
+      sector: :technology
+    )
+    puts "  December 15, 2024 (Bear market, Tech sector): #{valid ? '✓ VALID' : '✗ INVALID'}"
+
+    # Scenario 4: Wrong sector
+    valid = pattern.context.valid_for?(
+      date: Date.new(2024, 12, 15),
+      regime: :bull,
+      sector: :finance
+    )
+    puts "  December 15, 2024 (Bull market, Finance sector): #{valid ? '✓ VALID' : '✗ INVALID'}"
+  end
+  puts
+
+  puts "=" * 80
+  puts "COMPLETE PATTERN CONTEXT SYSTEM DEMONSTRATION FINISHED"
+  puts "=" * 80
+  puts
+
+  puts "Key Takeaways:"
+  puts "  ✓ Patterns have context (regime, season, sector)"
+  puts "  ✓ Market regimes change (bull/bear/sideways)"
+  puts "  ✓ Seasonal patterns exist (best months/quarters)"
+  puts "  ✓ Sector analysis finds patterns across related stocks"
+  puts "  ✓ Walk-forward validation prevents overfitting"
+  puts "  ✓ Runtime validation checks if pattern applies NOW"
+  puts
+  puts "This context-aware approach is much more sophisticated than"
+  puts "naive pattern mining that assumes universal applicability."
+  puts
+
+else
+  puts "Skipping integration tests (set RUN_INTEGRATION_TESTS=1 to enable)"
+  puts
+  puts "This example demonstrates:"
+  puts "  1. Market Regime Detection - Identify bull/bear/sideways markets"
+  puts "  2. Seasonal Analysis - Find which months/quarters patterns work"
+  puts "  3. Sector Analysis - Discover patterns across related stocks using KBS"
+  puts "  4. Context-Aware Discovery - Patterns with regime/seasonal metadata"
+  puts "  5. Walk-Forward Validation - Prevent overfitting with time-series CV"
+  puts "  6. Runtime Validity - Check if pattern applies in current conditions"
+  puts
+  puts "Run with: RUN_INTEGRATION_TESTS=1 ruby #{__FILE__}"
+end

data/examples/rails_app/Gemfile

@@ -0,0 +1,34 @@
+# frozen_string_literal: true
+
+source 'https://rubygems.org'
+
+ruby '>= 3.2.0'
+
+# Rails framework
+gem 'rails', '~> 7.1'
+
+# Database - use SQLite for simplicity
+gem 'sqlite3', '~> 1.7'
+
+# Web server
+gem 'puma', '~> 6.0'
+
+# Asset pipeline
+gem 'sprockets-rails'
+gem 'importmap-rails'
+gem 'turbo-rails'
+gem 'stimulus-rails'
+
+# JSON
+gem 'jbuilder'
+
+# SQA library (load from parent directory)
+# In production: gem 'sqa'
+
+group :development, :test do
+  gem 'debug', platforms: %i[mri windows]
+end
+
+group :development do
+  gem 'web-console'
+end